Mia is my bugger, mainly. She seems to openly 'hunt' for them. I've watched her 'pounce' across the yard after a grasshopper, hopping 'just like him' and just this past weekend, it was a Praying Mantis she was 'tracking' and pushing along with her nose as he was wobbling through the grass, trying to be as inconspicuous as a "Walking Stick" can be. I took her away, and moved him to a new location, and she tracked him down again...then DH wanted to play with the Mantis, so it was over for poor Mia.
She goes after moths and butterflies, too...like a cat would...batting at them in the air, but I have never seen her attempt to eat any of them...she just sort of 'plays' with them in a kind of like 'follow the leader' way.